Stochastic Methods in Asset Pricing (The MIT Press)

ISBN-13: 9780262036559
ISBN-10: 026203655X
Author: Andrew Lyasoff
Publication date: 2017
Publisher: The MIT Press
Format: Hardcover 632 pages
Category: Statistics
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Book details

ISBN-13: 9780262036559
ISBN-10: 026203655X
Author: Andrew Lyasoff
Publication date: 2017
Publisher: The MIT Press
Format: Hardcover 632 pages
Category: Statistics

Summary

Acknowledged author Andrew Lyasoff wrote Stochastic Methods in Asset Pricing (The MIT Press) comprising 632 pages back in 2017. Textbook and eTextbook are published under ISBN 026203655X and 9780262036559. Since then Stochastic Methods in Asset Pricing (The MIT Press) textbook was available to sell back to BooksRun online for the top buyback price or rent at the marketplace.

Description

A comprehensive overview of the theory of stochastic processes and its connections to asset pricing, accompanied by some concrete applications.

This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing. The book is broader in scope than other introductory-level graduate texts on the subject, requires fewer prerequisites, and covers the relevant material at greater depth, mainly without rigorous technical proofs. The book brings to an introductory level certain concepts and topics that are usually found in advanced research monographs on stochastic processes and asset pricing, and it attempts to establish greater clarity on the connections between these two fields.

The book begins with measure-theoretic probability and integration, and then develops the classical tools of stochastic calculus, including stochastic calculus with jumps and Lévy processes. For asset pricing, the book begins with a brief overview of risk preferences and general equilibrium in incomplete finite endowment economies, followed by the classical asset pricing setup in continuous time. The goal is to present a coherent single overview. For example, the text introduces discrete-time martingales as a consequence of market equilibrium considerations and connects them to the stochastic discount factors before offering a general definition. It covers concrete option pricing models (including stochastic volatility, exchange options, and the exercise of American options), Merton's investment–consumption problem, and several other applications. The book includes more than 450 exercises (with detailed hints). Appendixes cover analysis and topology and computer code related to the practical applications discussed in the text.

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